We estimate a macroeconomic model on US data where banks lend to households and businesses and simultaneously adjust lending requirements on the two types of loans. We find that the collateral shock, a change in the ability of the financial sector to redeploy collateral, is the most important force driving the business cycle. Hit by this unique disturbance, our model quantitatively replicates the joint dynamics of output, consumption, investment, employment, and both household and business credit quantities and spreads. The estimated collateral shock generates accurate movements in lending standards and tracks measures of market sentiment. (JEL E21, E23, E24, E32, E44, G21)

中文翻译：

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附带冲击

我们根据美国数据估计了一个宏观经济模型，其中银行向家庭和企业贷款，同时调整这两种贷款的贷款要求。我们发现抵押品冲击，即金融部门重新部署抵押品能力的变化，是推动商业周期的最重要力量。受到这种独特干扰的影响，我们的模型定量地复制了产出、消费、投资、就业以及家庭和企业信贷数量和利差的联合动态。估计的抵押品冲击会产生贷款标准的准确变动并跟踪市场情绪的衡量标准。(JEL E21, E23, E24, E32, E44, G21)